protected override void DoRunLoopSubscriptions(string resp)
{
WebSocketSubscriptionEvent eventSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionEvent>(resp);
if (ResponseRequestSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
if (eventSubscr.table == _ORDER && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketExecutionReportEvent execReportEvent = JsonConvert.DeserializeObject <WebSocketExecutionReportEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(execReportEvent);
}
else if (eventSubscr.table == _EXECUTIONS && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketExecutionReportEvent execReportEvent = JsonConvert.DeserializeObject <WebSocketExecutionReportEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(execReportEvent);
}
else
{
//Log what we are receiving here because we are getting events that we didn't expect
}
}
}
protected void ProcessExecutionReports(WebSocketSubscriptionEvent subscrEvent)
{
WebSocketExecutionReportEvent reports = (WebSocketExecutionReportEvent)subscrEvent;
foreach (zHFT.OrderRouters.Bitmex.Common.DTO.ExecutionReport execReportDTO in reports.data)
{
try
{
string clOrdId = "";
if (OrderIdMappers.ContainsKey(execReportDTO.OrderID))
{
clOrdId = OrderIdMappers[execReportDTO.OrderID];
if (BitMexActiveOrders.ContainsKey(clOrdId))
{
Order order = BitMexActiveOrders[clOrdId];
lock (tLock)
{
if (execReportDTO.ExecType == ExecType.New.ToString())
{
order.OrderId = execReportDTO.OrderID;
}
if (execReportDTO.ExecType == ExecType.Replaced.ToString())
{
BitMexActiveOrders.Remove(clOrdId);
order.ClOrdId = order.PendingClOrdId;
order.PendingClOrdId = null;
BitMexActiveOrders.Add(order.ClOrdId, order);
OrderIdMappers[execReportDTO.OrderID] = order.ClOrdId;
}
if (execReportDTO.ExecType == ExecType.Canceled.ToString() ||
execReportDTO.ExecType == ExecType.Stopped.ToString() ||
execReportDTO.ExecType == ExecType.Rejected.ToString() ||
execReportDTO.ExecType == ExecType.Suspended.ToString() ||
execReportDTO.ExecType == ExecType.Expired.ToString())
{
BitMexActiveOrders.Remove(order.ClOrdId);
OrderIdMappers.Remove(order.OrderId);
}
}
WSExecutionReportWrapper wrapper = new WSExecutionReportWrapper(execReportDTO, order);
OnMessageRcv(wrapper);
}
}
else
{
DoLog(string.Format("Unknown order processing execution report for OrderId {0} ", execReportDTO.OrderID), Main.Common.Util.Constants.MessageType.Information);
}
}
catch (Exception ex)
{
DoLog(string.Format("Error processing execution report for ClOrdId {0}:{1} ", execReportDTO.ClOrdID, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
//We update an orderBook in memory and publish
protected void UpdateOrderBook(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketOrderBookL2Event orderBookEvent = (WebSocketOrderBookL2Event)subscrEvent;
try
{
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] bids = orderBookEvent.data.Where(x => x.IsBuy()).OrderByDescending(x => x.price).ToArray();
zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry[] asks = orderBookEvent.data.Where(x => x.IsSell()).OrderBy(x => x.price).ToArray();
SendOrderBookEntries(orderBookEvent.action, bids, asks);
OrderBookHandler.DoUpdateOrderBooks(orderBookEvent.action, bids, asks);
//string symbol = "";
//if (bids.Length > 0)
// symbol = bids[0].symbol;
//else if (asks.Length > 0)
// symbol = asks[0].symbol;
//else
// return;
//if (ActiveSecuritiesQuotes.Values.Any(x => x.Symbol == symbol) && OrderBookHandler.OrderBooks.ContainsKey(symbol))
//{
// Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == symbol).FirstOrDefault();
// OrderBookDictionary dict = OrderBookHandler.OrderBooks[symbol];
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestBid = dict.Entries.Values.Where(x => x.IsBuy() && x.size > 0).OrderByDescending(x => x.price).FirstOrDefault();
// zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.OrderBookEntry bestAsk = dict.Entries.Values.Where(x => x.IsSell() && x.size > 0).OrderBy(x => x.price).FirstOrDefault();
// sec.MarketData.BestBidPrice = Convert.ToDouble(bestBid.price);
// sec.MarketData.BestBidSize = Convert.ToInt64(bestBid.size);
// sec.MarketData.BestAskPrice = Convert.ToDouble(bestAsk.price);
// sec.MarketData.BestAskSize = Convert.ToInt64(bestAsk.size);
// //DoLog(string.Format("@{5}:Publishing Market Data for symbol {0}: Best Bid Size={1} Best Bid Price={2} Best Ask Size={3} Best Ask Price={4}",
// // symbol, bestBid.size.ToString("##.########"), bestBid.price.ToString("##.##"),
// // bestAsk.size.ToString("##.########"), bestAsk.price.ToString("##.##"),
// // BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
// MarketDataWrapper wrapper = new MarketDataWrapper(sec, GetConfig());
// OnMessageRcv(wrapper);
//}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing order book :{1}", BitmexConfiguration.Name, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
public void OnEvent(string resp)
{
WebSocketResponseMessage wsResp = wsResp = JsonConvert.DeserializeObject <WebSocketResponseMessage>(resp);
lock (tSubscrLock)
{
if (wsResp.IsResponse())//We have the response to a subscription
{
WebSocketSubscriptionResponse requestRespSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionResponse>(resp);
if (ResponseRequestSubscriptions.ContainsKey(requestRespSubscr.GetSubscriptionEvent()))
{
WebSocketSubscriptionResponse requestRespEvent = ResponseRequestSubscriptions[requestRespSubscr.GetSubscriptionEvent()];
requestRespEvent.RunSubscritionEvent(requestRespSubscr);
}
}
else if (resp.Contains("error"))
{
WebSocketErrorMessage wsError = JsonConvert.DeserializeObject <WebSocketErrorMessage>(resp);
if (wsError.request != null)
{
foreach (string ev in wsError.request.args)
{
string[] fields = ev.Split(new string[] { ":" }, StringSplitOptions.RemoveEmptyEntries);
string key = fields[0];
string symbol = fields.Length > 1 ? fields[1] : null;
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[key];
if (subscrEvent != null)
{
wsError.Symbol = symbol;
subscrEvent.RunEvent(wsError);
}
}
}
else
{
ProcessSubscriptionEvent(resp);
}
}
else //We have an event from a subscription
{
ProcessSubscriptionEvent(resp);
}
}
}
public void SubscribeEvents(string topic, OnEvent pOnSubscriptionEvent)
{
WebSocketSubscriptionEvent msg = new WebSocketSubscriptionEvent()
{
topic = topic,
};
msg.SetEvent(pOnSubscriptionEvent);
if (EventSubscriptions == null)
{
throw new Exception(string.Format("Event Subscriptions Dictionary has not been initialized"));
}
EventSubscriptions.Add(topic, msg);
}
protected override void DoRunLoopSubscriptions(string resp)
{
WebSocketSubscriptionEvent eventSubscr = JsonConvert.DeserializeObject <WebSocketSubscriptionEvent>(resp);
if (ResponseRequestSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
if (eventSubscr.table == _ORDERBOOK_L2 && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketOrderBookL2Event orderBookL2Event = JsonConvert.DeserializeObject <WebSocketOrderBookL2Event>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(orderBookL2Event);
}
else if (eventSubscr.table == _TRADE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketTradeEvent tradeEvent = JsonConvert.DeserializeObject <WebSocketTradeEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(tradeEvent);
}
else if (eventSubscr.table == _QUOTE && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
WebSocketQuoteEvent quoteEvent = JsonConvert.DeserializeObject <WebSocketQuoteEvent>(resp);
WebSocketSubscriptionEvent subscrEvent = EventSubscriptions[eventSubscr.GetSubscriptionEvent()];
subscrEvent.RunEvent(quoteEvent);
}
else if (eventSubscr.table == _1_DAY_TRADE_BINS && EventSubscriptions.ContainsKey(eventSubscr.GetSubscriptionEvent()))
{
//TODO: I have to ask BitMex why aren't they retrieveing high and low for the 1 day bin
//and they are for the 1 hour bin
}
else
{
//Log what we are receiving here because we are getting events that we didn't expect
}
}
}
protected void UpdateTrade(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketTradeEvent trades = (WebSocketTradeEvent)subscrEvent;
foreach (zHFT.InstructionBasedMarketClient.BitMex.Common.DTO.Trade trade in trades.data.OrderBy(x => x.timestamp))
{
try
{
if (ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == trade.symbol).FirstOrDefault() != null)
{
Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == trade.symbol).FirstOrDefault();
sec.MarketData.Trade = Convert.ToDouble(trade.price);
sec.MarketData.MDTradeSize = Convert.ToDouble(trade.size);
sec.MarketData.LastTradeDateTime = trade.timestamp;
sec.ProcessStatistics();
DoLog(string.Format("@{5}:NEW TRADE for symbol {0}: Side={1} Size={2} Price={3} TickDirection={4}",
trade.symbol, trade.side, trade.size.ToString("##.##"), trade.price.ToString("##.########"), trade.tickDirection,
BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
MarketDataTradesWrapper wrapper = new MarketDataTradesWrapper(sec, GetConfig());
OnMessageRcv(wrapper);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing trade for symbol {1}:{2}", BitmexConfiguration.Name, trade.symbol, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
protected void UpdateQuotes(WebSocketSubscriptionEvent subscrEvent)
{
if (subscrEvent is WebSocketErrorMessage)
{
ProcessSubscrError((WebSocketErrorMessage)subscrEvent);
return;
}
WebSocketQuoteEvent quotes = (WebSocketQuoteEvent)subscrEvent;
foreach (Quote quote in quotes.data.OrderBy(x => x.timestamp))
{
try
{
if (ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == quote.symbol).FirstOrDefault() != null)
{
Security sec = ActiveSecuritiesQuotes.Values.Where(x => x.Symbol == quote.symbol).FirstOrDefault();
sec.MarketData.BestAskSize = quote.askSize.HasValue ? (long?)Convert.ToInt64(quote.askSize.Value) : null;
sec.MarketData.BestBidSize = quote.bidSize.HasValue ? (long?)Convert.ToInt64(quote.bidSize.Value) : null;
sec.MarketData.BestAskPrice = quote.askPrice;
sec.MarketData.BestBidPrice = quote.bidPrice;
DoLog(string.Format("@{1}:NEW Quote for symbol {0}", quote.symbol, BitmexConfiguration.Name), Main.Common.Util.Constants.MessageType.Information);
MarketDataQuoteWrapper wrapper = new MarketDataQuoteWrapper(sec, GetConfig());
OnMessageRcv(wrapper);
}
}
catch (Exception ex)
{
DoLog(string.Format("@{0}:Error processing quote for symbol {1}:{2}", BitmexConfiguration.Name, quote.symbol, ex.Message), Main.Common.Util.Constants.MessageType.Error);
}
}
}
